Journals

• Original research

Market power in the German wholesale electricity market

Research Papers

• 15 Jun 2009

• Original research

Development of open source software for power market research: the AMES test bed

Research Papers

• 15 Jun 2009

• Original research

Impacts of regulatory announcements on CO 2 prices

Research Papers

• 15 Jun 2009

• Original research

Pricing of hourly exercisable electricity swing options using different price processes

Research Papers

• 15 Jun 2009

• Original research

Estimating the lognormal-gamma model of operational risk using the Markov chain Monte Carlo method

• 31 Mar 2009

• Original research

Supply portfolio risk

• 31 Mar 2009

• Original research

Fat tails, expected shortfall and the Monte Carlo method: a note

• 31 Mar 2009

• Original research

Modeling operational risk in financial institutions using hybrid dynamic Bayesian networks

• 31 Mar 2009

• Original research

Min-Max robust and CVaR robust mean-variance portfolios

• 27 Mar 2009

• Original research

Joint and conditional transformed t mixture models with applications to financial and economic data

• 27 Mar 2009

• Original research

The bond-stock yield differential as a risk indicator in financial markets

• 27 Mar 2009

• Original research

Risk premium and non-smooth utility

• 27 Mar 2009

• Original research

Modeling multi-period corporate default probability when hazard ratios decay

• 25 Mar 2009

• Original research

Pricing constant maturity credit default swaps under jump

• 25 Mar 2009

• Original research

Modeling credit spreads with the Cheyette model and its application to credit default swaptions

• 25 Mar 2009

• Original research

The systematic and idiosyncratic modules of bankruptcy risk

• 25 Mar 2009

• Original research

An introduction to pricing correlation products using a pair-wise correlation matrix

• 25 Mar 2009

• Original research

Failure discrimination by semi-definite programming using a maximal margin ellipsoidal surface

• 24 Mar 2009

• Original research

Pricing of spread options on stochastically correlated underlyings

• 24 Mar 2009

• Original research

The decoupling approach to binomial pricing of multi-asset options

• 24 Mar 2009